The game itself is also in a zip file though? 🤔
The save folder indeed gets created after you save your game for the first time. I wonder if maybe you are downloading the game through an itchio app? In that case maybe it’s deleting the save folder after each update?
I would suggest to back up your save folder in a different location before updating, and then copy it back after the update. I hope that might solve your problem for future updates.